While at NYU film school, Walker supported herself as a DJ and musician. She was featured in a cover story in Option and on the cover of issue No. 154 of The Wire.[3] She appeared frequently at the Soundlab in New York City and in Europe, where she performed solo and as a member of the experimental illbient ensemble Byzar. Walker also directed an avant-garde video for the track "Phylyx", which was broadcast as the show-opening video of MTV's iconic electronica show Amp (episodes 116, 122, and 124).[4]

Walker's 2014 documentary The Lion's Mouth Opens focuses on filmmaker-actor Marianna Palka's attempt to discover if she has inherited Huntington's disease, the incurable degenerative disorder that took Palka's father. Nick Higgins worked with Walker as cinematographer for the documentary. The title is taken from Bob Dylan's poem Last Thoughts on Woody Guthrie, which Marianna recites in the film (Woody Guthrie had died from Huntington’s Disease). Walker premiered The Lion’s Mouth Opens at Sundance on January 26, 2014. HBO acquired the film for broadcast during its Huntington's Disease Awareness Week in May 2015. After its initial festival run, the documentary was expanded from sixteen to twenty-eight minutes.

Walker was inspired to make the 2013 documentary "The Crash Reel" when she met Kevin Pearce (snowboarder) at a retreat organized by David Mayer de Rothschild. "The Crash Reel" premiered at Sundance on January 19, 2013 as the Opening Night Gala film. The film chronicles the rivalry between Kevin and Shaun White, which culminates in Kevin's life-changing crash. The film also showcases the Pearce family, including Kevin's father, renowned glass-blower Simon Pearce, and Kevin's brother, David C. Pearce, who has Down Syndrome. The film was the first movie to ever play at the X Games. Inspired by her documentary's subject, Walker created the "#loveyourbrain" organization and a campaign around Traumatic Brain Injury prevention, awareness, and support. Outside (magazine) featured Lucy in a cover story, "Lucy Walker Will Change Winter Sports".[7]

Waste Land focuses on Brazilian artist Vik Muniz and a group of catadores--pickers of recyclable materials--who transform recyclable materials from the world's largest dump in Rio de Janeiro into contemporary art sold at the most prestigious auction house in London. Waste Land premiered at Sundance in 2010. It is the first film to win Audience Awards at both the Sundance and Berlin festivals. At the International Documentary Association Awards, presenter Morgan Spurlock memorably handed Walker the Best Documentary Feature Award wrapped inside a garbage bag.[8][9] The joke referenced the black garbage bag that Walker had worn to the New York theatrical premiere of Waste Land.[10]Waste Land was released theatrically in the USA by Arthouse Films, in Canada, in the UK by E1 Entertainment, and in Australia/NZ by Hopscotch Films.

Blindsight premiered at Toronto. It follows the journey of six blind Tibetan teenagers who climb up the north side of Mt. Everest with blind American mountaineer Erik Weihenmayer and their teacher, Sabriye Tenberken, who founded the only school for the blind in Tibet, Braille Without Borders. Both Waste Land and Blindsight won the Audience Award at Berlin Film Festival, making Walker the only filmmaker to have won that award twice.

Devil's Playground, Walker's first feature documentary, examined the struggles of Amish teenagers during their period of experimentation (rumspringa). It premiered at the 2002 Sundance Film Festival.

Countdown to Zero, an exposé of the present-day threat of nuclear proliferation, also premiered at Sundance 2010, the first time a director has had two feature documentaries in one year at this festival. It also played in the Official Selection at Cannes Film Festival, before being released in the US by Magnolia Pictures, in the UK by Dogwoof, and in Japan by Paramount. Its contribution to the debate building to the ratification of the New START Treaty earned Walker a nomination for Arms Control Person of the Year[11] The documentary was credited with raising public awareness and understanding of the dangers posed by nuclear weapons in the 21st century and with helping mobilize support for practical steps to reduce that danger.

Walker's credits in television include directing over a dozen episodes of Nickelodeon's Blue's Clues, her first job out of film school, for which she was twice nominated for Emmy Awards for Outstanding Directing. Her content and commercial work includes directing "Project Daniel" for Intel, which was awarded an AICP Curator's Award and three Bronze Lions at the Cannes Festival of. Creativity[12]

Walker was named one of the "Top 25 New Faces In Independent Film" by Filmmaker and called "the new Errol Morris" by The Hollywood Reporter. Variety has profiled her as a notable "Femme Filmmaker", praising her ability to connect with audiences.[13]

Two retrospectives of Walker's films have appeared at the DC Environmental Film Festival and London's British Film Institute Southbank, both in 2012.